This study investigates the impacts of the Economic Policy Uncertainty Index on the different types of stocks’ volatility. We use the standard VAR models between the EPU index and the GARCH volatility of each stock index (large-cap growth, large-cap value, small-cap growth, and small-cap value stocks). We analyze their impulse response functions, especially the responses and accumulated responses of the GARCH volatility of each stock index to the EPU index innovation. The empirical results show that the EPU index influences the volatility of value stocks more than that of growth stocks for both large-cap and small-cap stocks. In addition, small-cap value stocks are affected by the EPU index the most.